Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0120 |
| Annualized Std Dev | 0.1016 |
| Annualized Sharpe (Rf=0%) | -0.1186 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4296.0000 |
| NAs | 1.0000 |
| Minimum | -0.0759 |
| Quartile 1 | -0.0026 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0027 |
| Maximum | 0.0725 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0064 |
| Skewness | -0.7622 |
| Kurtosis | 24.0931 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0047 |
| Gain Deviation | 0.0046 |
| Loss Deviation | 0.0055 |
| Downside Deviation (MAR=210%) | 0.0103 |
| Downside Deviation (Rf=0%) | 0.0047 |
| Downside Deviation (0%) | 0.0047 |
| Maximum Drawdown | 0.4386 |
| Historical VaR (95%) | -0.0085 |
| Historical ES (95%) | -0.0153 |
| Modified VaR (95%) | -0.0088 |
| Modified ES (95%) | -0.0088 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-11 | 2008-10-10 | NA | -0.4386 | 4287 | 1156 | NA |
| 2004-03-01 | 2004-03-02 | 2004-03-04 | -0.0046 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | -0.4 | 0 | 0.1 | 0.8 | 2.4 | 1.4 | 0 | -0.2 | 0.1 | 0.9 | 0.4 | 5.7 |
| 2005 | 0.9 | 1.1 | 0.6 | 0.2 | 0.6 | -0.3 | 1 | -0.9 | 0.6 | 0.4 | -0.1 | 0.3 | 4.4 |
| 2006 | -0.1 | 0.3 | 0.1 | 0.4 | 0.1 | 0.4 | 0.2 | 0 | 0 | -0.2 | 0.7 | 0.1 | 2 |
| 2007 | -0.3 | 0.3 | 0.4 | 0.4 | -0.6 | 0.5 | -0.2 | 0.6 | 0 | 0.8 | -0.1 | 0.9 | 2.8 |
| 2008 | 0.2 | -0.1 | 0.8 | 0.4 | -0.3 | -0.1 | 1.2 | 0 | 1.4 | 1 | -1.5 | 0.2 | 3.2 |
| 2009 | 0.1 | 2.4 | 0.3 | -0.4 | 0.9 | 0.2 | 0.2 | 0.3 | 0.8 | 0.4 | 0.5 | 0.8 | 6.6 |
| 2010 | 1 | 0.7 | 0.7 | 0.4 | 1 | 0.3 | -0.5 | 0.4 | 1.3 | 0.5 | -0.1 | 1.1 | 7.1 |
| 2011 | 0.4 | 1.2 | 0.2 | 0.4 | 0.2 | -0.2 | 0.4 | 0.3 | 0.2 | 0.2 | -0.5 | 0 | 3 |
| 2012 | 0.3 | 0.2 | 0.1 | 0.2 | 0.5 | -0.2 | 0.4 | 0.7 | 0.2 | 0.9 | -0.2 | 0.2 | 3.3 |
| 2013 | 0.3 | 0.2 | 0 | -0.4 | 0 | 1.6 | -0.5 | 0.3 | 0.7 | -0.2 | -0.2 | -0.4 | 1.4 |
| 2014 | 0 | 0.1 | 0 | 0.5 | 0.2 | -0.3 | 0.2 | 0.1 | 0.8 | 0 | -0.2 | 0.3 | 1.6 |
| 2015 | 0.5 | 0.9 | 0.6 | -0.2 | -0.1 | 0.3 | 0.6 | 0.1 | -0.3 | -0.2 | 0.9 | 0.4 | 3.6 |
| 2016 | 0.2 | 0.4 | -0.2 | 1.6 | -1.4 | 0.6 | 0.3 | -0.5 | -0.2 | -0.2 | -0.9 | 0.5 | 0.3 |
| 2017 | 0 | -0.4 | 0.4 | 0.1 | 0.3 | 0 | 0.4 | 0.6 | -0.4 | 0.4 | 0.1 | 0.3 | 1.6 |
| 2018 | 0.6 | 0 | 1 | -0.3 | -0.3 | 0.5 | -0.3 | -0.1 | 0.2 | -0.1 | 0.2 | 0 | 1.4 |
| 2019 | 0.1 | 0 | -0.3 | 0.4 | -0.1 | 0 | 0.3 | 0.1 | -0.4 | 0.2 | -0.2 | 0.2 | 0.2 |
| 2020 | 0.3 | -1.1 | 0.5 | 0.3 | 0.1 | -0.2 | -0.2 | 0.2 | 0.2 | 0.7 | 0.3 | 1.3 | 2.4 |
| 2021 | -0.1 | 0.2 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
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Price Chart
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Rolling Performance Chart
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Snail Trail Chart
